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Robert D. Arnott (born 1954) is an American entrepreneur, investor, editor and writer who focuses on articles about quantitative investing. He is the father of Richard Wiles-Arnott, Sydney Arnott, and Robin Arnott. He edited the CFA Institute's ''Financial Analysts Journal'' from 2002–2006, and has edited three books on equity management and tactical asset allocation.〔(【引用サイトリンク】date=January–February 2007 )〕 He is a co-author of the book ''The Fundamental Index: A Better Way to Invest''. Arnott has also served as a Visiting Professor of Finance at the UCLA Anderson School of Management, on the editorial board of the ''Journal of Portfolio Management'', the product advisory board of the Chicago Mercantile Exchange, and the Chicago Board Options Exchange.〔 He previously served as Chairman of First Quadrant, LP, as global equity strategist at Salomon (now Salomon Smith Barney), president of TSA Capital Management (now TSA/Analytic), and as vice president at the Boston Company.〔 Arnott has received seven Graham and Dodd Scrolls and Awards, awarded annually by the CFA Institute for best articles of the year, and has received three Bernstein-Fabozzi/Jacobs-Levy awards from the ''Journal of Portfolio Management'' and ''Institutional Investor'' magazine. ==Writing== Arnott has published over 100 academic papers in refereed journals.〔 Topics of these papers have included mutual fund returns, the equity risk premium, tactical asset allocation, and alternative index investing. * 2000, "Investment Management Reflections," with Andrew L. Berkin and Jia Ye. This paper argued that not only did 75% of actively managed equity mutual funds underperform the Vanguard S&P 500 Index Fund but that after taking into account taxation, 66 out of the 71 mutual funds in the sample underperformed. A later study that looked at the 1990s found that 322 out of 355 mutual funds in the sample underperformed the Vanguard S&P 500 Index Fund after tax.〔(【引用サイトリンク】year=2000 )〕 * 2002, "What Risk Premium is 'Normal'?" with Peter Bernstein. This paper argued that much of previous stock market returns had come from price-to-earnings ratio expansion and dividend yields, the former of which is unsustainable and the latter of which is historically low. Therefore, stock market returns will be lower in the long-term than they have historically been.〔(【引用サイトリンク】date=March–April 2002 ) (Note: The final page of this report is clearly labeled as an advertisement)〕 Arnott and Bernstein were awarded the Graham and Dodd Award for excellence in financial writing for this article.〔(【引用サイトリンク】date=June 4, 2003 )〕 * 2003, "Surprise! Higher Dividends = Higher Earnings Growth," with Cliff Asness. This paper stated that against traditional theory, that the more a public company paid out in dividends, the greater that company's earnings grew. Results were statistically significant and robust with respect to time period and after controlling for the investment-to-GDP ratio, earnings yield, and the slope of the yield curve.〔(【引用サイトリンク】date=January–February 2003 )〕 * 2005, "Fundamental Indexation" with Jason Hsu and Phil Moore. This paper introduced the idea of weighting indices by fundamentals instead of capitalization, stating that indices weighted by fundamentals tend to outperform indices weighted by capitalization with similar volatility.〔(【引用サイトリンク】year=2005 )〕 This paper was the recipient of the William F. Sharpe best-index related research paper award. Research Affiliates's fundamentally based indexes won the award for the most innovative benchmark index.〔(【引用サイトリンク】date=February 2006 )〕 * 2008, ''The Fundamental Index: A Better Way to Invest''. This book, published by Wiley Press and co-authored with Jason Hsu and John West, examines in detail how the Fundamental Index approach to investing can overcome the structural return drag created by traditional capitalization-weighted index strategies. * 2009, "Clairvoyant Value and the Value Effect" with Feifei Li and Katy Sherrerd. Using the prism of "clairvoyant value" - the net present value of all future cash flows on an investment, which is only known long after-the-fact for stocks in decades past - this paper and related subsequent paper demonstrate that the market does a superb job of differentiating which stocks deserve premium valuation multiples, but then pays too much for them. Selected as the lead article in the Spring 2009 Journal of Portfolio Management. * 2012, "Demographic Changes, Financial Markets, and the Economy" with Denis Chaves. Spanning sixty years of data in two dozen economies, this paper demonstrates that demography plays a very important role in shaping GDP growth and capital market returns. It strongly suggests that the developed world should prepare for slower GDP growth in the years ahead, and softer stock and bond returns in the 2020s and beyond. This paper was selected as the lead article for the January/February 2012 issue of the Financial Analysts Journal, and went on to win a Graham and Dodd Scroll. * 2013, "The Surprising Alpha from Malkiel's Monkey and Upside-Down Strategies" with Jason Hsu, Vitali Kalesnik, and Phil Tindall. This paper documents that many of the popular so-called "smart beta" strategies work just as well, if not better, when turned upside-down, with their smallest and largest holdings reversed. In so doing, the paper demonstrates that the key to the success of these strategies is not the advertised method of the strategy, but the mere act of breaking the link between a stock's price and its weight in the portfolio. This paper was one of three winners of a Bernstein-Fabozzi/Jacobs-Levy Award, as one of the best articles in 2013 in the Journal of Portfolio Management. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Robert D. Arnott」の詳細全文を読む スポンサード リンク
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